Thinking out loud

Tuesday, October 02, 2007

Hacking Wall Street

Yes. That's my new job description. Before you get me wrong, the idea is not to literally "hack" wall street. The idea is to find non-random patterns in daily trading on the major stocks and derivatives exchanges around the world and use these patterns to make money. We look at trading data of a product (we have data for every trade and every order for a lot of stocks and derivatives) and use statistical methods to develop models to predict the price of the product over the next few seconds to a few minutes. An amazing mix of mathematics, computer science and financial markets. It's crazy but it's a lot of fun.